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arXiv · 0810.2753

Concentration of the spectral measure of large Wishart matrices with dependent entries

Adityanand Guntuboyina·Hannes Leeb
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Abstract

We derive concentration inequalities for the spectral measure of large random matrices, allowing for certain forms of dependence. Our main focus is on empirical covariance (Wishart) matrices, but general symmetric random matrices are also considered.

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Adityanand Guntuboyina, Hannes Leeb. 2008-10-15. Concentration of the spectral measure of large Wishart matrices with dependent entries. https://arxiv.org/abs/0810.2753

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